CVaR-Based Offering Strategy for Price-Maker Wind-Storage Unit in Day-Ahead Electricity Market

Joint operation of wind power producer (WPP) with battery energy storage system (BESS) is being widely used to mitigate the negative effects of uncertainty in the output of wind power. To investigate the impact of BESS on the bidding strategy of a WPP in a day-ahead (DA) electricity market, a bi-level optimization model is developed for a price-maker WPP equipped with BESS (WPP-BESS unit) to determine its optimal offering strategy in the DA market. In this model, the WPP-BESS unit's bid deviation is penalized according to the real-time (RT) market prices, and the conditional value-at-risk (CVaR) is used to tackle the uncertainties in the RT market prices and wind power outputs. At the upper level, the WPP-BESS unit decides its offering strategy to maximize its utility which comprises the expected profit and CVaR. At the lower level, the independent system operator (ISO) performs the DA market clearing to minimize the system operating cost. Finally, the case studies verify the effectiveness of the model. It is shown that, WPP equipped with BESS can effectively reduce its bid deviation and risk when participating in the DA market.